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arXiv.org e-Print Archive
Preprint . 1999
Data sources: arXiv.org e-Print Archive
SSRN Electronic Journal
Article . 1999 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 1999
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
https://papers.ssrn.com/sol3/p...
Other literature type
Data sources: Microsoft Academic Graph
Research Papers in Economics
Preprint . 1999
Data sources: Research Papers in Economics
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Efficiency in Foreign Exchange Markets

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 1999Embargo end date: 01 Jan 1999 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: R. Baviera; M. Pasquini; M. Serva; D. Vergni; A. Vulpiani;

doi: 10.2139/ssrn.147129 , 10.48550/arxiv.cond-mat/9901225

arXiv: http://arxiv.org/abs/cond-mat/9901225

Efficiency in Foreign Exchange Markets

Abstract

A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.

22 pages, LaTeX, 6 eps figures, submitted to European Financial Management journal

Related Organizations
Keywords

FOS: Economics and business, Statistical Finance (q-fin.ST), Quantitative Finance - Statistical Finance, FOS: Physical sciences, Disordered Systems and Neural Networks (cond-mat.dis-nn), Condensed Matter - Disordered Systems and Neural Networks

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
12
Average
Top 10%
Top 10%
Green
bronze
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